A generalized derivation of the Black-Scholes implied volatility through hyperbolic tangents
Michele Mininni, Giuseppe Orlando, Giovanni Taglialatela
| Year of publication: |
2022
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|---|---|
| Authors: | Mininni, Michele ; Orlando, Giuseppe ; Taglialatela, Giovanni |
| Published in: |
Argumenta oeconomica. - [Wrocław] : [Wrocław University of Economics], ZDB-ID 2892843-X. - Vol. 49.2022, 2, p. 23-57
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| Subject: | approximation methods | Black-Scholes model | hyperbolic tangent | implied volatility | Volatilität | Volatility | Black-Scholes-Modell | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.15611/aoe.2022.2.02 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014279306